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Global financial crisis and the puzzling exchange rate path in CEE countries
Crespo Cuaresma, Jesús; Geršl, Adam; Slačík, Tomáš - 2010
financial crisis. To this end, we derive risk-neutral densities from the implied volatilities of FX options, which approximate …-of-sample predictive power of indicators. The forecasting results suggest that models based on FX options are inferior to the random walk … change of the exchange rate. -- Options ; implied volatility ; risk-neutral density ; exchange rate forecasting ; Bayesian …
Persistent link: https://www.econbiz.de/10008689001
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Exchange rate and oil price interactions in selected CEE countries
Drachal, Krzysztof - In: Economies : open access journal 6 (2018) 2, pp. 1-21
This paper reports a study on the causal dynamics between spot oil price, exchange rates, and stock prices in Poland, the Czech Republic, Hungary, Romania, and Serbia. The results are compared with a benchmark analysis in which U.S. monthly data are used, and time periods are selected according...
Persistent link: https://www.econbiz.de/10011854772
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A Gaussian Mixture Hidden Markov Model for the VIX
Aigner, Andreas A. - 2023
A Hidden Markov Model (HMM) is used to model the VIX (the Cboe Volatility Index). A 4- state Gaussian mixture is fitted to the VIX price history from 1990 to 2022. Using a growing window of training data, the price of the S&P500 is predicted and two trading algorithms are presented, based on the...
Persistent link: https://www.econbiz.de/10014356167
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Multivariate Volatility Models : An Application to IBOVESPA and Dow Jones Industrial
Achcar, Jorge - 2012
In this paper, we present a brief description of multivariate GARCH models. Usually, their parameter estimates are obtained using maximum likelihood methods. Considering new methodological processes to model the volatilities of time series, we need to use another inference approach to get...
Persistent link: https://www.econbiz.de/10013099873
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Multivariate Volatility Models : An Application to IBOVESPA and Dow Jones Industrial
Achcar, Jorge - 2012
In this paper, we present a brief description of multivariate GARCH models. Usually, their parameter estimates are obtained using maximum likelihood methods. Considering new methodological processes to model the volatilities of time series, we need to use another inference approach to get...
Persistent link: https://www.econbiz.de/10013101092
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Quantifying reflexivity in financial markets : towards a prediction of flash crashes
Filimonov, Vladimir; Sornette, Didier - 2012
We introduce a new measure of activity of financial markets that provides a direct access to their level of endogeneity. This measure quantifies how much of price changes are due to endogenous feedback processes, as opposed to exogenous news. For this, we calibrate the self-excited conditional...
Persistent link: https://www.econbiz.de/10009561617
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Predictable Dynamics in Implied Volatility Surfaces from OTC Currency Options
Chalamandaris, George - 2010
, as prescribed by general equilibrium models. Using an extensive data set from the over-the-counter options market, we … document similar predictability in the factors that capture the daily variation of surfaces implied by options on 25 different …
Persistent link: https://www.econbiz.de/10013150628
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Information flows around the globe : predicting opening gaps from overnight foreign stock price patterns
Gooijer, Jan G. de; Diks, Cees G. H.; Gatarek, Lukasz T. - 2009
This paper describes a forecasting exercise of close-to-open returns on major global stock indices, based on price patterns from foreign markets that have become available overnight. As the close-to-open gap is a scalar response variable to a functional variable, it is natural to focus on...
Persistent link: https://www.econbiz.de/10011379456
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Improved Forecasting of Realized Variance Measures
Bekierman, Jeremias - 2016
We consider the problem of forecasting realized variance measures. These measures are highly persistent, but also noisy estimates of the underlying integrated variance. Recently, Bollerslev, Patton and Quaedvlieg (2016, Journal of Econometrics, 192, 1-18) exploited this fact to extend the...
Persistent link: https://www.econbiz.de/10012986440
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Multiple-Days-Ahead Value-At-Risk and Expected Shortfall Forecasting for Stock Indices, Commodities and Exchange Rates : Inter-Day Versus Intra-Day Data
Degiannakis, Stavros Antonios - 2018
In order to provide reliable Value-at-Risk (VaR) and Expected Shortfall (ES) forecasts, this paper attempts to investigate whether an inter-day or an intra-day model provides accurate predictions. We investigate the performance of inter-day and intra-day volatility models by estimating the...
Persistent link: https://www.econbiz.de/10012910113